La volatilità del tasso di cambio e del prezzo dei titoli azionari

Andrea Beltratti

Economia Internazionale / International Economics, 1988, vol. 41, issue 3-4, 167-180

Abstract: Financial markets have recently experienced a high volatility of exchange rates and of stock indices. Some economists attribute this fact in the presence of operators whose only aim is speculation and who buy and sell any financial activity without taking the long-term rationality of its price into account. This article proposes an example that clearly defines the concept of long-term rationality by excluding the possibility of speculative price bubbles and by suggesting that financial operators, who make use of primary evaluation methods, may determine .joint flows » between different markets, e.g. the exchange rates market and the stock market. The empirical analysis in the last section of the paper gives evidence of the existence of these joint flows between the analysed series. Such existence may be considered as evidence of the use of primary method by financial operators. This, however, does not exclude the fact that other factors (e.g. « contagion effects ») may prove important for determination of the price of financial activities.

Date: 1988
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